Estimasi Nilai Risiko Return Portofolio Saham LQ-45 dan JII dengan Copula Gaussian
Value at Risk, Copula, GARCH
Keywords:
Copula , GARCH, Value at RiskAbstract
The purpose of an investor in investing in a stock portfolio is to maximize return and minimize risk. The most commonly used risk measure is Value at Risk (VaR) which can be calculated using a copula. The best copula is the Gaussian copula that can calculate the risk value in the combined distribution between LQ-45 returns and JII returns, which have a volatility effect so that it is modeled with the AR (1)-GARCH (1,1) model. With a 95% confidence level, the Gaussian copula has the smallest VaR value with the largest return.
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